Archive for Banff International Research Station for Mathematical Innovation

computational statistics and molecular simulation [18w5023]

Posted in pictures, Statistics, Travel, University life with tags , , , , , , , , , , , , , , , , , , , , , , , on November 14, 2018 by xi'an

On Day 2, Carsten Hartmann used a representation of the log cumulant as solution to a minimisation problem over a collection of importance functions (by the Vonsker-Varadhan principle), with links to X entropy and optimal control, a theme also considered by Alain Dunmus when considering the uncorrected discretised Langevin diffusion with a decreasing sequence of discretisation scale factors (Jordan, Kinderlehrer and Otto) in the spirit of convex regularisation à la Rockafellar. Also representing ULA as an inexact gradient descent algorithm. Murray Pollock (Warwick) presented a new technique called fusion to simulate from products of d densities, as in scalable MCMC (but not only). With an (early) starting and startling remark that when simulating one realisation from each density in the product and waiting for all of them to be equal means simulating from the product, in a strong link to the (A)BC fundamentals. This is of course impractical and Murray proposes to follow d Brownian bridges all ending up in the average of these simulations, constructing an acceptance probability that is computable and validating the output.

The second “hand-on” lecture was given by Gareth Roberts (Warwick) on the many aspects of scaling MCMC algorithms, which started with the famous 0.234 acceptance rate paper in 1996. While I was aware of some of these results (!), the overall picture was impressive, including a notion of complexity I had not seen before. And a last section on PDMPs where Gareth presented very recent on the different scales of convergence of Zigzag and bouncy particle samplers, mostly to the advantage of Zigzag.In the afternoon, Jeremy Heng presented a continuous time version of simulated tempering by adding a drift to the Langevin diffusion with time-varying energy, which must be solution to the Liouville pde \text{div} \pi_t f = \partial_t \pi_t. Which connects to a flow transport problem when solving the pde under additional conditions. Unclear to me was the creation of the infinite sequence. This talk was very much at the interface in the spirit of the workshop! (Maybe surprisingly complex when considering the endpoint goal of simulating from a given target.) Jonathan Weare’s talk was about quantum chemistry which translated into finding eigenvalues of an operator. Turning in to a change of basis in a inhumanly large space (10¹⁸⁰ dimensions!). Matt Moore presented the work on Raman spectroscopy he did while a postdoc at Warwick, with an SMC based classification of the peaks of a spectrum (to be used on Mars?) and Alessandra Iacobucci (Dauphine) showed us the unexpected thermal features exhibited by simulations of chains of rotors subjected to both thermal and mechanical forcings, which we never discussed in Dauphine beyond joking on her many batch jobs running on our cluster!

And I remembered today that there is currently and in parallel another BIRS workshop on statistical model selection [and a lot of overlap with our themes] taking place in Banff! With snow already there! Unfair or rather #unfair, as someone much too well-known would whine..! Not that I am in a position to complain about the great conditions here in Oaxaca (except for having to truly worry about stray dogs rather than conceptually about bears makes running more of a challenge, if not the altitude since both places are about the same).

BIRS call for Oaxaca

Posted in Kids, Travel, University life with tags , , , , , , , on September 26, 2017 by xi'an

Here is a call for support from Nassim Goussoub, Scientific Director of BIRS:I would  like to call upon you to consider aiding the people of the State of Oaxaca. As you may know, through their support for BIRS-CMO, the people of Oaxaca have welcomed the World’s mathematical sciences community with open arms. With the plans to build a permanent facility under way, they are destined to be our hosts for years to come. I therefore ask you to contribute — if you can. Here are some of the foundations accepting donations.

  1. Francisco Toledo’s Foundation, IAGO (Instituto Artes Gráficas de Oaxaca) https://www.paypal.me/donativoistmo

  2. International Community Foundation(ICF) https://donate.icfdn.org/npo/international-disaster-relief-fund

  3. Global Giving https://www.globalgiving.org/projects/mexico-earthquake-and-hurricane-relief-fund/

  4. Red Cross Mexico https://www.cruzrojamexicana.org.mx 6. Unicef Mexico https://www.unicef.org/mexico/spanish/

the curious incident of the goose in the picture [17w5036]

Posted in Statistics with tags , , , , , , , on March 2, 2017 by xi'an

Mt. Rundle

Posted in Mountains, pictures, Running, Travel with tags , , , , , , , on February 27, 2017 by xi'an

ABC’ory in Banff [17w5025]

Posted in Books, Mountains, pictures, Statistics, Travel, University life with tags , , , , , , , , , , , on February 27, 2017 by xi'an

And another exciting and animated [last] day of ABC’ory [and practice]!  Kyle Cranmer exposed a density ratio density estimation approach I had not seen before [and will comment here soon]. Patrick Muchmore talked about unbiased estimators of Gaussian and non-Gaussian densities in elliptically contoured distributions which allows for running pseudo-MCMC than ABC. This reminded me of using the same tool [for those distributions can be expressed as mixtures of normals] in my PhD thesis, if for completely different purposes. In his talk, including a presentation of an ABC blackbox platform called ELFI, Samuel Kaski did translate statistical inference as inverse reinforcement learning: I hope this does not catch! In the afternoon, Dennis Prangle gave us the intuition behind his rare event ABC, which is not estimating rare events by ABC but rather using rare event simulation to improve ABC. [A paper I will a.s. comment here soon as well!] And Scott Sisson concluded the day and the week with his views on ABC for high dimensions.

While being obviously biased as the organiser of the workshop, I nonetheless feel it was a wonderful meeting with just the right number of participants to induce interactions and discussions during and around the talk, as well as preserve some time for pairwise interactions. Like all other workshops I contributed to in BIRS along the years

07w5079 2007-07-01 Bioinformatics, Genetics and Stochastic Computation: Bridging the Gap
10w2170 2010-09-10 Hierarchical Bayesian Methods in Ecology
14w5125 2014-03-02 Advances in Scalable Bayesian Computation

this is certainly a highly profitable one! For a [major] change, the next one [18w5023] will take place in Oaxaca, Mexico, and will see computational statistics meet molecular simulation. [As an aside, here are the first and last slides of Ewan Cameron’s talk, appropriately illustrating beginning and end, for both themes of his talk: epidemiology and astronomy!]

201702211013-cameron
img-20170221-wa0006

 

 

ABC’ory in Banff [17w5025]

Posted in Mountains, pictures, Statistics, Travel, University life with tags , , , , , , , , , on February 23, 2017 by xi'an

Cascade mountain, Banff, March 18, 2012Another great day of talks and discussions at BIRS! Continuing on the themes of the workshop between delving into the further validation of those approximation techniques and the devising of ever more approximate solutions for ever more complex problems. Among the points that came clearer to me through discussion, a realisation that the synthetic likelihood perspective is not that far away from our assumptions in the consistency paper. And that a logistic version of the approach can be constructed as well. A notion I had not met before (or have forgotten I had met) is the one of early rejection ABC, which should actually be investigated more thoroughly as it should bring considerable improvement in computing time (with the caveats of calibrating the acceptance step before producing the learning sample and of characterising the output).  Both Jukka Corander and Ewan Cameron reminded us of the case of models that take minutes or hours to produce one single dataset. (In his talk on some challenging applications, Jukka Corander chose to move from socks to boots!) And Jean-Michel Marin produced an illuminating if sobering experiment on the lack of proper Bayesian coverage by ABC solutions. (It appears that Ewan’s video includes a long empty moment when we went out for the traditional group photo, missing the end of his talk.)

Advances in Scalable Bayesian Computation [group photo]

Posted in Kids, Mountains, pictures, Statistics, Travel, University life with tags , , , , , , , , on March 8, 2014 by xi'an